rsync does NOT create its own pid file. This causes "/etc/rc.d/rsyncd stop" to fail. If I uncomment the pgrep line in /etc/rc.d/rsyncd, it works fine.

With the default included /etc/rsyncd.conf rsync should create a pid file.
The problem is that if you change it, the rc.d script has no way of knowing.

you are right, my bad, my config doesn't contain the "pid file" option. but shouldn't the rc.d script be independent of the config file? I mean my config isn't "broken", so the rc.d script IMHO should work fine regardless...

Not sure, the script seems buggy either way. Something for the maintainers to fix.
If the script does want to create its own pid file, it should also remember to remove
it when stopping the service - rsync won't know what the rc.d script is doing.

IMO system rc.d files have a higher priority than rsyncd.conf -- but implementing a fallback is easy.
After a valid start ( [[ $? == 0 ]] ) check if the process is indeed running. If there was a valid start, but /var/run/rsyncd.pid is missing, create it.

Here's a patch that proposes a fix for /etc/rc.d/rsyncd.

I'd say: if you change you default config you should know what you are doing and adjust the rc script if needed.